Study: Buy TATAPOWER when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy TATAPOWER when RSI is oversold" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy TATAPOWER at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
110386373334045.218166.632323.33-4140.86-197061.971.630.0331422.79
214467073403354.799026.6565863.01-6557.46-17749.311.381.670.0331981.78
311111073373650.689836.3651287.67-7023.22-16796.561.41.440.0261522.05
413804273393453.4210491.4861369.86-7974.28-18952.831.321.510.0291890.99
523764973442960.2711249.1955780.82-8872.95-27470.821.271.920.0473255.46
619748873413256.1611846.961698.63-9007.36-36413.541.321.690.0362705.31
717202873433058.910297.6456109.59-9025.7-30741.081.141.640.0332356.54
821778473413256.1610972.0347842.96-7252.18-27081.431.511.940.0462983.34
921335973413256.1611774.9859630.48-8419.22-27630.381.41.790.0412922.73
1021563573393453.4213645.4367565.82-9309.9-34617.051.471.680.0362953.91
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrnil39.33398762123388530.8929467.7891601.82-8482.52-25317.923.471.550.0323241.97
atrnil25.39282412123497439.8418763.8561067.88-8608.33-25317.922.181.440.032296.03
atrtrail23.85201224137548339.4213566.3261067.88-6401.89-25317.922.121.380.0231468.79
atrtrail-15.23174280137548339.4213067.3683790.84-6401.89-25317.922.041.330.0191272.12
atrtrail34.59172135137548339.4213027.6385728.23-6401.89-25317.922.031.320.0191256.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.55. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 30.89%, which is not acceptable. Avoid this strategy. Average return per trade is 1.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAPOWER Performance, Profit Factor:1.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019730 Jan 2019 (-3.54%), 11 Feb 2019 (11.54%), 07 May 2019 (-3.14%), 13 May 2019 (9.36%), 30 Jul 2019 (-4.07%), 13 Aug 2019 (-4.27%), 21 Aug 2019 (15.37%)
2018702 Feb 2018 (-3.46%), 06 Feb 2018 (-3.78%), 07 Mar 2018 (9.3%), 21 May 2018 (-2.69%), 24 May 2018 (8.17%), 19 Jun 2018 (-2.91%), 08 Oct 2018 (16.51%)
2017208 Aug 2017 (-2.08%), 10 Aug 2017 (6.33%)
2016103 Feb 2016 (11.02%)
2015627 Mar 2015 (-3.33%), 24 Aug 2015 (-3.49%), 25 Aug 2015 (-4.42%), 07 Sep 2015 (13.63%), 08 Dec 2015 (-2.49%), 09 Dec 2015 (7.82%)
2014427 Jan 2014 (9.76%), 13 Aug 2014 (-3.83%), 16 Dec 2014 (-3.62%), 17 Dec 2014 (11.44%)
2013707 Feb 2013 (-2.73%), 13 Feb 2013 (8.33%), 23 May 2013 (-2.19%), 11 Jun 2013 (-2.73%), 12 Jun 2013 (-2.97%), 13 Jun 2013 (9.39%), 06 Aug 2013 (16.05%)
2011931 Jan 2011 (-3.12%), 04 Feb 2011 (-3.35%), 28 Feb 2011 (10.92%), 09 Aug 2011 (-2.78%), 11 Aug 2011 (-3.06%), 12 Aug 2011 (-3.37%), 18 Aug 2011 (-3.5%), 05 Sep 2011 (-4.05%), 14 Sep 2011 (-4.03%)
2010701 Feb 2010 (-3.34%), 15 Feb 2010 (-3.32%), 25 May 2010 (9.73%), 24 Aug 2010 (-1.85%), 25 Aug 2010 (-1.94%), 27 Aug 2010 (-2.18%), 30 Aug 2010 (6.92%)
2009205 Mar 2009 (-5.52%), 12 Mar 2009 (16.76%)
2008722 Jan 2008 (29.36%), 27 Jun 2008 (-6.5%), 01 Jul 2008 (-6.93%), 06 Oct 2008 (-8.38%), 10 Oct 2008 (-10.12%), 24 Oct 2008 (-12.66%), 27 Oct 2008 (42.86%)
2007328 Feb 2007 (-5.01%), 01 Mar 2007 (-5.27%), 05 Mar 2007 (-5.61%)
2006208 Jun 2006 (-7.1%), 13 Jun 2006 (24.89%)
2005322 Mar 2005 (-3.12%), 23 Mar 2005 (-3.5%), 20 Oct 2005 (-4.56%)
2004217 May 2004 (-10.15%), 11 Jun 2004 (23.97%)
2002625 Jul 2002 (-3.32%), 26 Jul 2002 (-3.5%), 29 Jul 2002 (-3.76%), 08 Aug 2002 (-3.86%), 27 Sep 2002 (-2.59%), 01 Oct 2002 (7.73%)
2001613 Mar 2001 (45.8%), 03 Sep 2001 (-3.8%), 06 Sep 2001 (-4.4%), 07 Sep 2001 (-4.58%), 12 Sep 2001 (-5.07%), 17 Sep 2001 (16.51%)
2000820 Apr 2000 (-7.22%), 25 Apr 2000 (-7.68%), 02 May 2000 (23.72%), 26 Sep 2000 (-4.21%), 29 Sep 2000 (-4.45%), 04 Oct 2000 (-4.66%), 06 Oct 2000 (-4.65%), 13 Oct 2000 (14.47%)
1999621 Jan 1999 (-4.39%), 02 Feb 1999 (-4.59%), 15 Feb 1999 (-4.34%), 23 Feb 1999 (-4.62%), 05 Mar 1999 (-4.43%), 09 Mar 1999 (14.03%)
1998505 Jun 1998 (-5.3%), 08 Jun 1998 (-5.91%), 15 Jun 1998 (17.1%), 16 Oct 1998 (-2.68%), 20 Oct 1998 (8.22%)
1997601 Sep 1997 (-3.63%), 18 Sep 1997 (9.14%), 28 Oct 1997 (-3.85%), 12 Nov 1997 (-4.08%), 13 Nov 1997 (-4.25%), 19 Nov 1997 (12.78%)
1996716 Jul 1996 (-5.57%), 20 Aug 1996 (-4.35%), 27 Sep 1996 (-4.09%), 30 Sep 1996 (-4.25%), 01 Oct 1996 (-4.48%), 07 Oct 1996 (14.82%), 04 Dec 1996 (14.13%)
19951021 Mar 1995 (10.68%), 27 Apr 1995 (-2.67%), 28 Apr 1995 (-2.77%), 02 May 1995 (-3.04%), 03 May 1995 (-3.15%), 05 Jul 1995 (-3.86%), 30 Aug 1995 (-3.2%), 05 Sep 1995 (10.57%), 22 Nov 1995 (-3.21%), 23 Nov 1995 (10.74%)



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